241 results on '"Rémillard, Bruno"'
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2. Option pricing and hedging for regime-switching geometric Brownian motion models
3. Are Information criteria good enough to choose the right the number of regimes in Hidden Markov Models?
4. On factor copula-based mixed regression models
5. Central limit theorems for martingales-II: convergence in the weak dual topology
6. Identifiability and inference for copula-based semiparametric models for random vectors with arbitrary marginal distributions
7. Tests of independence and randomness for arbitrary data using copula-based covariances
8. Central limit theorems for martingales-I : continuous limits
9. Multivariate Hawkes-based Models in LOB: European, Spread and Basket Option Pricing
10. Tests of independence and randomness for arbitrary data using copula-based covariances
11. Multivariate General Compound Point Processes in Limit Order Books
12. A stochastic analysis of a SIQR epidemic model with short and long-term prophylaxis
13. On the monotonicity of copula-based conditional distributions
14. Compound Hawkes Processes in Limit Order Books
15. On One-Dimensional Riccati Diffusions
16. Change-point problems for multivariate time series using pseudo-observations
17. Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model
18. A level-1 Limit Order book with time dependent arrival rates
19. Central limit theorems for martingales-I: Continuous limits
20. Goodness-of-fit for regime-switching copula models with application to option pricing
21. On explicit solutions to Ito diffusions
22. Combining losing games into a winning game
23. Tests of independence and randomness for arbitrary data using copula-based covariances
24. On the empirical multilinear copula process for count data
25. On signed measure valued solutions of stochastic evolution equations
26. Optimal hedging in discrete time
27. Semi-parametric copula-based models under non-stationarity
28. Copula-based dynamic models for multivariate time series
29. On explicit local solutions of Itô diffusions
30. A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing
31. Discussion of: Brownian distance covariance
32. Large deviations for the Yule–Walker estimator of near critical autoregressive processes
33. Asymptotic local efficiency of Cram\'{e}r--von Mises tests for multivariate independence
34. Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable L\'evy process
35. A Level-1 Limit Order Book with Time Dependent Arrival Rates
36. Pricing European Options in a Discrete Time Model for the Limit Order Book
37. Goodness-of-Fit Procedures for Copula Models Based on the Probability Integral Transformation
38. Nonparametric Weighted Symmetry Tests
39. Asymptotic behavior of the empirical multilinear copula process under broad conditions
40. Tests of Serial Independence Based on Kendall's Process
41. Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals
42. Between Strassen and Chung Normalizations for Lévy's Area Process
43. Serial independence tests for innovations of conditional mean and variance models
44. A dynamic program under Lévy processes for valuing corporate securities
45. Dependence Properties of Meta-Elliptical Distributions
46. Filtering of Images for Detecting Multiple Targets Trajectories
47. A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
48. Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
49. Optimal Hedging of American Options in Discrete Time
50. Tests of Independence
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